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Scientific Publications with peer reviewing |
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Sophie
Ladoucette
- Ladoucette,
S.A. and Teugels,
J.L. (2007) Exact and asymptotic
properties for a generic reinsurance
layer based on an ordered claim size,
Scandinavian
Actuarial Journal, to appear.
- Albrecher,
H., Ladoucette,
S.A. and Schoutens,
W. (2007)
A generic one-factor Lévy model
for pricing synthetic CDOs, In:
Advances in Mathematical Finance, R.J.
Elliott, M.C. Fu, R.A. Jarrow, J-Y Yen
(Eds), Birkhäuser, pp. 259--277.
- Ladoucette,
S.A. (2007) Asymptotic
behavior of the moments of the ratio
of the random sum of squares to the
square of the random sum, Statistics
& Probability Letters, 77(10):1021--1033.
- Ladoucette,
S.A. and Teugels,
J.L. (2007) Asymptotics
for ratios with applications to reinsurance,
Methodology and Computing in Applied
Probability, 9(2):225--242.
- Ladoucette,
S.A. and Teugels,
J.L. (2006) Limit
distributions for the ratio of the random
sum of squares to the square of the
random sum with applications to risk
measures, Publications de l'Institut
Mathématique, 80(94):219--240.
- Ladoucette,
S.A. and Teugels,
J.L. (2006) Analysis
of risk measures for reinsurance layers,
Insurance: Mathematics & Economics,
38(3):630--639.
- Ladoucette,
S.A. and Teugels,
J.L. (2006) Reinsurance
of large claims, Journal of Computational
and Applied Mathematics, 186(1):163--190.
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